Risk spillovers and diversification benefits between crude oil and agricultural commodity futures markets

IF 6.3 2区经济学 Q1 BUSINESS, FINANCE

Research in International Business and Finance Pub Date : 2024-09-14 DOI:10.1016/j.ribaf.2024.102579

Walid Mensi , Mobeen Ur Rehman , Remzi Gök , Eray Gemici , Xuan Vinh Vo

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Abstract

This study examines the dependence structure and risk spillovers between crude oil and eight major agricultural futures (wheat, corn, soybean coffee, cotton, lumber, cocoa, and live cattle) markets. It also analyzes the potential conditional diversification benefits using a variety of copula functions and Conditional Value at Risk (CoVaR) measure. The results show significant crisis-sensitive and temporal dependence between oil and agricultural markets. Moreover, crude oil shows a symmetric tail dependence with both wheat, corn, soybeans, and cotton futures, whereas oil exhibits an average dependence with coffee. A strong dependence is observed between oil and cocoa (lumber) during bearish (bullish) market conditions. Oil and Live cattle have a symmetric dependence during bearish and bullish market conditions. On the other hand, we find asymmetric and bidirectional risk spillovers from oil to agricultural markets. Furthermore, the wheat futures contract appears to be the most dominating and vulnerable asset to oil price shocks, followed by lumber and corn futures, respectively, while the live cattle contracts are the least. Finally, an equally weighted portfolio offers the highest diversification benefits at a 5 % expected shortfall.

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原油和农产品期货市场之间的风险溢出效应和多样化收益

本研究探讨了原油与八种主要农产品期货（小麦、玉米、大豆、咖啡、棉花、木材、可可和活牛）市场之间的依存结构和风险溢出效应。它还利用各种 copula 函数和条件风险价值 (CoVaR) 度量分析了潜在的条件多样化收益。结果显示，石油和农产品市场之间存在明显的危机敏感性和时间依赖性。此外，原油与小麦、玉米、大豆和棉花期货之间表现出对称的尾部依赖关系，而石油与咖啡之间则表现出平均依赖关系。在市场看跌（看涨）的情况下，石油与可可（木材）之间的依赖性很强。在看跌和看涨的市场条件下，石油和活牛的依存关系是对称的。另一方面，我们发现从石油到农产品市场存在非对称和双向的风险溢出效应。此外，小麦期货合约似乎是最主要、最易受石油价格冲击影响的资产，其次分别是木材和玉米期货，而活牛合约的影响最小。最后，同等权重的投资组合在 5%的预期缺口下提供了最高的多样化收益。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Research in International Business and Finance BUSINESS, FINANCE-

CiteScore

11.20

自引率

9.20%

发文量

240

期刊介绍： Research in International Business and Finance (RIBAF) seeks to consolidate its position as a premier scholarly vehicle of academic finance. The Journal publishes high quality, insightful, well-written papers that explore current and new issues in international finance. Papers that foster dialogue, innovation, and intellectual risk-taking in financial studies; as well as shed light on the interaction between finance and broader societal concerns are particularly appreciated. The Journal welcomes submissions that seek to expand the boundaries of academic finance and otherwise challenge the discipline. Papers studying finance using a variety of methodologies; as well as interdisciplinary studies will be considered for publication. Papers that examine topical issues using extensive international data sets are welcome. Single-country studies can also be considered for publication provided that they develop novel methodological and theoretical approaches or fall within the Journal''s priority themes. It is especially important that single-country studies communicate to the reader why the particular chosen country is especially relevant to the issue being investigated. [...] The scope of topics that are most interesting to RIBAF readers include the following: -Financial markets and institutions -Financial practices and sustainability -The impact of national culture on finance -The impact of formal and informal institutions on finance -Privatizations, public financing, and nonprofit issues in finance -Interdisciplinary financial studies -Finance and international development -International financial crises and regulation -Financialization studies -International financial integration and architecture -Behavioral aspects in finance -Consumer finance -Methodologies and conceptualization issues related to finance